Appendix: A Probabilistic State Space Model for Joint Inference from Differential Equations and Data

Appendix A.1 defines the augmented state-space model that formalizes the dynamics of the Gauss-Markov processes introduced in Section 3.1. Appendix A.2 provides the equations for prediction and update steps of the extended Kalman filter in such a setup, which is The block-diagonal structure is due to the independent dynamics of the prior processes. In the experiments presented in Sections 5.2 and 5.3 we model the latent contact rate This section is concerned with the exact steps that make up the algorithm summarized in Section 3.4. The stochastic differential equation defined in Eq. As detailed in Section 3, two different update steps are defined for two kinds of observations.